The Four Seasons of Commodity Futures: Insights from Topological Data Analysis

21 Pages Posted: 10 Jan 2020

See all articles by Devraj Basu

Devraj Basu

University of Strathclyde - Department of Accounting and Finance

Pawel Dlotko

affiliation not provided to SSRN

Date Written: December 19, 2019

Abstract

This study introduces a new technique to analyse the evolution of correlations for multiple time series. The technique is based on applying Topological Data Analysis (TDA) and we use it to gain insights about the evolution of commodity futures markets over the 1997-2017 period. Our findings complement the existing literature and provide new insights into the dynamics of commodity futures markets in the past two decades. Our analysis has both global and local aspects and could be applied to detect changes in correlation structure in a variety of time series as well as cross sectional settings.

Keywords: Commodity futures, topological data analysis, correlations

JEL Classification: C45, C58, G13, G17

Suggested Citation

Basu, Devraj and Dlotko, Pawel, The Four Seasons of Commodity Futures: Insights from Topological Data Analysis (December 19, 2019). Available at SSRN: https://ssrn.com/abstract=3506780 or http://dx.doi.org/10.2139/ssrn.3506780

Devraj Basu (Contact Author)

University of Strathclyde - Department of Accounting and Finance ( email )

Curran Building
100 Cathedral Street
Glasgow G4 0LN
United Kingdom

Pawel Dlotko

affiliation not provided to SSRN

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